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Performance
^GVZ Performance Chart
CBOE Gold Volatility Index (^GVZ) is up 17.2% since the beginning of the year. ^GVZ is currently trading at $28 per share. Investors who bought $1,000 worth of ^GVZ shares 5 years ago would now be looking at an investment worth $1,809.
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Returns By Period
CBOE Gold Volatility Index (^GVZ) has returned 17.22% so far this year and 44.16% over the past 12 months. Over the last ten years, ^GVZ has returned 3.17% per year, falling short of the S&P 500 Index benchmark, which averaged 13.42% annually.
CBOE Gold Volatility Index
- 1D
- 3.20%
- 1M
- 5.89%
- YTD
- 17.22%
- 6M
- 37.79%
- 1Y
- 44.16%
- 3Y*
- 27.00%
- 5Y*
- 12.59%
- 10Y*
- 3.17%
Benchmark (S&P 500 Index)
- 1D
- -0.26%
- 1M
- -0.17%
- YTD
- 7.91%
- 6M
- 7.98%
- 1Y
- 22.99%
- 3Y*
- 19.77%
- 5Y*
- 11.75%
- 10Y*
- 13.42%
^GVZ Monthly Returns History
Based on dividend-adjusted daily data since Jun 3, 2008, ^GVZ's average daily return is +0.15%, while the average monthly return is +1.54%. At this rate, an investment would double in approximately 3.8 years.
Historically, 45% of months were positive and 55% were negative. The best month was Jan 2026 with a return of +84.3%, while the worst month was Apr 2026 at -31.5%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^GVZ closed higher 45% of trading days. The best single day was Apr 15, 2013 with a return of +61.7%, while the worst single day was Mar 17, 2009 at -36.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 84.28% | -24.61% | 17.03% | -31.50% | -6.49% | 12.57% | 17.22% | ||||||
| 2025 | 8.21% | -0.00% | 12.77% | 20.63% | -11.25% | -9.37% | -7.34% | 8.42% | 14.72% | 13.58% | 0.93% | 4.59% | 63.61% |
| 2024 | -16.97% | -15.20% | 38.35% | 7.12% | -7.74% | -3.54% | 21.47% | -8.28% | 10.24% | 7.63% | -15.88% | -10.69% | -7.76% |
| 2023 | -3.08% | -10.03% | 22.16% | -4.85% | -5.10% | -22.97% | 1.00% | -3.13% | 9.85% | 25.43% | -12.38% | 11.46% | -2.46% |
| 2022 | 14.31% | 25.57% | -3.43% | -2.07% | -13.31% | 14.08% | -15.91% | 3.21% | 14.69% | -6.40% | -15.44% | 5.18% | 11.23% |
| 2021 | -0.72% | 2.13% | -19.02% | -14.59% | 10.29% | -0.68% | -5.51% | 2.52% | 10.92% | -6.35% | 11.95% | -18.79% | -29.73% |
Benchmark Metrics
CBOE Gold Volatility Index has an annualized alpha of 70.51%, beta of -1.31, and R2 of 0.09 versus S&P 500 Index. Calculated based on daily prices since June 03, 2008.
- This index tended to rise when S&P 500 Index fell (downside capture of -311.64%), but participation in market rallies was also limited (-67.18%) - a profile typical of counter-cyclical assets.
- Beta of -1.31 may look defensive, but with R2 of 0.09 this index is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R2 of 0.09 means this index moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 70.51%
- Beta
- -1.31
- R²
- 0.09
- Upside Capture
- -67.18%
- Downside Capture
- -311.64%
Return for Risk
Risk / Return Rank
^GVZ ranks 33 for risk / return — below 33% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for CBOE Gold Volatility Index (^GVZ) and compare them to S&P 500 Index.
| ^GVZ | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.41 | ||
| Sortino ratioReturn per unit of downside risk | -1.11 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 1.35 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.92 | 2.54 | -1.62 |
| Martin ratioReturn relative to average drawdown | 1.61 | 11.58 | -9.96 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the CBOE Gold Volatility Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the CBOE Gold Volatility Index was 86.24%, occurring on May 29, 2019. The portfolio has not yet recovered.
The current CBOE Gold Volatility Index drawdown is 56.55%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2019 bear market2019 | -86.24%May 2019 | 10y 7mo | — | 17y 8moOct 2008 - now |
Financial crisis2007–2009 | -31.15%Jul 2008 | 17d | 1mo 11d | 1mo 28dJul 2008 - Sep 2008 |
Financial crisis2007–2009 | -20.75%Sep 2008 | 5d | 16d | 21dSep 2008 - Oct 2008 |
Financial crisis2007–2009 | -5.75%Jun 2008 | 7d | 2d | 9dJun 2008 - Jun 2008 |
Financial crisis2007–2009 | -5.61%Jul 2008 | 7d | 2d | 9dJul 2008 - Jul 2008 |
Drawdown Indicators
| ^GVZ | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -86.24% | -56.78% | -29.46% |
Max Drawdown (1Y)Largest decline over 1 year | -48.15% | -9.10% | -39.05% |
Max Drawdown (3Y)Largest decline over 3 years | -48.15% | -18.90% | -29.25% |
Max Drawdown (5Y)Largest decline over 5 years | -67.76% | -25.43% | -42.33% |
Max Drawdown (10Y)Largest decline over 10 years | -79.13% | -33.92% | -45.21% |
Current DrawdownCurrent decline from peak | -56.55% | -2.93% | -53.62% |
Average DrawdownAverage peak-to-trough decline | -69.90% | -10.72% | -59.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 27.43% | 1.99% | +25.44% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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